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Does past volatility affect investors' price forecasts and confidence judgements?
16 references·1 citing·39 second hop
Does past volatility affect investors' price forecasts and confidence judgements? (2007)Does past volatility affect investors' pr…The Cross‐Section of Volatility and Expected Returns (2006)The Cross‐Section of Volatili…Judgmental forecasting: A review of progress over the last 25years (2006)Judgmental forecasting: A rev…Idiosyncratic Risk Matters! (2003)Idiosyncratic Risk Matters!Beyond greed and fear: understanding behavioral finance and the psychology of investing (2003)Beyond greed and fear: unders…Overconfidence: It Depends on How, What, and Whom You Ask (1999)Overconfidence: It Depends on…Betting on trends: Intuitive forecasts of financial risk and return (1993)Betting on trends: Intuitive …Variable risk preferences and the focus of attention. (1992)Variable risk preferences and…Variable risk preferences and the focus of attention. (1992)Variable risk preferences and…Calibration and probability judgements: Conceptual and methodological issues (1991)Calibration and probability j…Judgement under Uncertainty: Heuristics and Biases (1983)Judgement under Uncertainty: …Calibration of probabilities: The state of the art to 1980 (1982)Calibration of probabilities:…Do those who know more also know more about how much they know? (1977)Do those who know more also k…On the psychology of prediction. (1973)On the psychology of predicti…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …The development of a social psychological model of strategy implementation (2012)The development of a social p…Belief in the law of small numbers. (1971)Subjective probability: A judgment of representativeness (1972)Availability: A heuristic for judging frequency and probability (1973)Judgment under Uncertainty: Heuristics and Biases (1975)Telling more than we can know: Verbal reports on mental processes. (1977)Judgment under Uncertainty: Heuristics and Biases (1974)Knowledge and Cognition (1975)Norm theory: Comparing reality to its alternatives. (1986)Investor Psychology and Asset Pricing (2001)Party Policy in Modern Democracies (2006)Judgment Under Uncertainty: Heuristics and Biases. (1984)The case for motivated reasoning. (1990)Knowledge Calibration: What Consumers Know and What They Think They Know (2000)Individual differences in adult decision-making competence. (2007)Managerial Miscalibration* (2013)Editor's Choice Digesting Anomalies: An Investment ApproachThe Pricing of Options and Corporate Liabilities (1973)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Liquidity and leverage (2008)… and the Cross-Section of Expected Returns (2015)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross-Section of Expected Stock Returns (1992)Risk, Return, and Equilibrium: Empirical Tests (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Market Frictions, Price Delay, and the Cross-Section of Expected Returns (2005)There is a risk-return trade-off after all (2005)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)Investor Psychology and Security Market Under‐ and Overreactions (1998)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Gender Differences in Preferences (2009)Introduction: epistemic communities and international policy coordination (1992)The Influence of Culture, Community, and the Nested‐Self in the Stress Process: Advancing Conservation of Resources Theory (2001)
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References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1973On the psychology of prediction.6,201 cited
  • 2006The Cross‐Section of Volatility and Expected Returns4,576 cited
  • 1983Judgement under Uncertainty: Heuristics and Biases3,812 cited
  • 1982Calibration of probabilities: The state of the art to 19801,966 cited
  • 2003Idiosyncratic Risk Matters!1,171 cited
  • 1977Do those who know more also know more about how much they know?1,081 cited
  • 1999Overconfidence: It Depends on How, What, and Whom You Ask786 cited
  • 2003Beyond greed and fear: understanding behavioral finance and the psychology of investing773 cited
  • 1992Variable risk preferences and the focus of attention.721 cited
  • 1993Betting on trends: Intuitive forecasts of financial risk and return586 cited
  • 1991Calibration and probability judgements: Conceptual and methodological issues550 cited
  • 2006Judgmental forecasting: A review of progress over the last 25years535 cited

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  • 1992Variable risk preferences and the focus of attention.465 cited
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    • 2012The development of a social psychological model of strategy implementation33 cited